Too bad about losing your Windows disc, but I'm not sure why you think we should care or what we can do about it.

As to a Live CD forgetting everything when you reboot, yup, completely normal. There is the concept of a persistant home directory in Knoppix which some people are reported to use. I have never quite got it to work, but you could read the wiki or these forums for more information on it.

Exactly what your Windows status is isn't clear. You say you lost the CD, but so what? If you still have it installed then what's the big deal? Some victims,.... I mean customers, of some of the larger OEM PC makers out there don't even get a real CD any more.

Of course, if you have used the Live CD as an intro to Linux as intended and want a real Linux install that you can cleanly add more applications to and that will automatically save all of your settings and data, then you could consider installing Debian to the hard disk. But something about you chosen user name makes me think that you are going to reject that idea.